Similar Search Results

Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break

Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric … models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through …

Persistent link: https://www.econbiz.de/10011476095

The Behaviour of Seasonal Unit Root Tests for Quarterly Time Series with Seasonal Mean Shifts

da Silva Lopes, Artur C.B; Montañes, Antonio - 1999

This paper studies the behaviour of the HEGY tests for quarterly data, for seasonal autoregressive unit roots, when the time series being analysed is deterministic seasonal stationary but exhibits a change in the seasonal pattern. As a by-product, we also analyse the HEGY tests for the...

Persistent link: https://www.econbiz.de/10014175046

Missing values in panel data unit root tests

Karavias, Yiannis; Tzavalis, Elias; Zhang, Haotian - In: Econometrics : open access journal 10 (2022) 1, pp. 1-11

Missing data or missing values are a common phenomenon in applied panel data research and of great interest for panel data unit root testing. The standard approach in the literature is to balance the panel by removing units and/or trimming a common time period for all units. However, this...

Persistent link: https://www.econbiz.de/10013041203

Local Structural Trend Break in Stationarity Testing

Skrobotov, Anton - 2013

In a recently publicized study, Harvey et al. (2012) investigated procedures for unit root testing employing break detection methods under local break in trend. We apply this methodology to analyze asymptotic and nite sample behavior of procedures under local break to test the stationarity null...

Persistent link: https://www.econbiz.de/10013072780

A Simple Modification of the Busetti-Harvey Stationarity Tests with Structural Breaks at Unknown Time

Skrobotov, Anton - 2014

In this paper a modification of the Busetti and Harvey (2001) test with structural break at unknown time is proposed. As the stationarity test with a super-consistent break date estimator is effective under large breaks and the infimum-test is effective under small breaks, although it has...

Persistent link: https://www.econbiz.de/10013050061

Test procedures for unit roots in time series with level shifts at unknown time

Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - 2001

Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under...

Persistent link: https://www.econbiz.de/10009613596

Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate

Gil-Alaña, Luis A. - 2001

We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractionally integrated techniques. This series is characterized by strong government interventions to bring inflation to a low level. We use a testing procedure due to Robinson (1994) which allow us to...

Persistent link: https://www.econbiz.de/10009615430

Unit root tests for time series with a structural break : when the break point is known

Lütkepohl, Helmut; Müller-Kademann, Christian; … - 1999

Unit root tests for time series with level shifts are considered. The level shift is assumed to occur at a known time point. In contrast to some other proposals the level shift is modeled as part of the intercept term of the stationary component of the data generation process which is separated...

Persistent link: https://www.econbiz.de/10009580481

Level shifts and long memory : a state space approach

Delle Monache, Davide; Grassi, Stefano; Santucci de … - 2015

Short memory models contaminated by level shifts have similar long-memory features as fractionally integrated processes. This makes it hard to verify whether the true data generating process is a pure fractionally integrated process when employing standard estimation methods based on the...

Persistent link: https://www.econbiz.de/10011287069

A simple test on structural change in long-memory time series

Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - 2017

We propose a simple test on structural change in long-range dependent time series. It is based on the idea that the test statistic of the standard CUSUM test retains its asymptotic distribution if it is applied to fractionally differenced data. We prove that our approach is asymptotically valid...

Persistent link: https://www.econbiz.de/10011655296